Systematic Sector Determination
Posted: Wed May 08, 2019 1:53 pm
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Systematic Sector Determination
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Systematic Sector Determination
Posted: Wed May 08, 2019 1:53 pm
Deleted (sorry I don't know what happened with these multiple copies of the same message)
Systematic Sector Determination
Posted: Wed May 08, 2019 1:53 pm
Pardon me if I don't know that much about it, but what is the reason to classify and cluster by sector if you already know what sectors each stock belongs to?
Systematic Sector Determination
Posted: Wed May 08, 2019 2:25 pm
@rickyvic
ENRON before collapse turned into pure M&A arb engine.
Few years back GE had financial profits larger than from sales of products (not sure about now).
etc etc.
Somewhere, in 2005/06, to validate margin model for my bank's Prime Brokerage I checked Bloomberg Classification of Hedge Funds "strategy" applying clustering metrics over monthly NAV returns. Of course, Bloomberg just mapped HF prospects.
I did it in two ways:
- constructing clusters of returns of HF's and then mapping it to BB-classes. (direct)
- taking BB-classes and then mapping to "most suitable" cluster. (reverse)
Basically, substitution of BB-classes with clusters did not change margins applied to specific FoHFs in our existing portfolio, so the conclusion about the use of BB-classes as information source was positive.
ENRON before collapse turned into pure M&A arb engine.
Few years back GE had financial profits larger than from sales of products (not sure about now).
etc etc.
Somewhere, in 2005/06, to validate margin model for my bank's Prime Brokerage I checked Bloomberg Classification of Hedge Funds "strategy" applying clustering metrics over monthly NAV returns. Of course, Bloomberg just mapped HF prospects.
I did it in two ways:
- constructing clusters of returns of HF's and then mapping it to BB-classes. (direct)
- taking BB-classes and then mapping to "most suitable" cluster. (reverse)
Basically, substitution of BB-classes with clusters did not change margins applied to specific FoHFs in our existing portfolio, so the conclusion about the use of BB-classes as information source was positive.
Systematic Sector Determination
Posted: Thu May 09, 2019 12:12 pm
In fact that would be my guess, especially in stocks there might be some companies that have overlapping sectors but really how many.
The risk that instead you pick a statistical correlation that in fact is not meaningful is probably higher.
No study behind it just educated guess.
The risk that instead you pick a statistical correlation that in fact is not meaningful is probably higher.
No study behind it just educated guess.
Systematic Sector Determination
Posted: Thu May 09, 2019 12:38 pm
> but really how many
Systematic trading embeds Systematic risk measurement and study.
To understand Risk one have to generate full (i.e. complete) list of risk factors and then one by one estimate if it can be neglected.
If you single out those "not many", then you have to figure out if it is an opportunity or it is an unnecessary risk.
Feel pedantic a bit, sorry
Systematic trading embeds Systematic risk measurement and study.
To understand Risk one have to generate full (i.e. complete) list of risk factors and then one by one estimate if it can be neglected.
If you single out those "not many", then you have to figure out if it is an opportunity or it is an unnecessary risk.
Feel pedantic a bit, sorry
Systematic Sector Determination
Posted: Fri Jun 28, 2019 12:27 pm
Read this some time ago:
https://www.winton.com/research/systematic-methods-for-classifying-equities
First they cluster the covariance matrix (nothing new) and then they mine the 10K Section 1 (business description) which sounded more interesting.
https://www.winton.com/research/systematic-methods-for-classifying-equities
First they cluster the covariance matrix (nothing new) and then they mine the 10K Section 1 (business description) which sounded more interesting.